Right Click the EXE, Run As Admin, and set compatibility to Win98.
For DOS games, you should use DOSBox.
When all else failed, use VMWare or Virtual PC.

Name the game you're trying to run, maybe we can give you specific
instructions for the game.

Riven, Walt Disney World Explorer, Walt Disney Biography.

ya i think all the games that can be played on windows 2k and xp can be
played on windows vista by changing the properties by right clicking and
changing compatibility mode have a look at below link on how to do it

Riven has a 16 bit installer and so won't install on 64 bit vista (should be
OK on 32 bit)
If you have 64 bit Vista and want to run older games with 16 bit installers
(or indeed any game that has problems under Vista that can't be solved with
Admin / compatibility settings) then download VirtualPC 2007 from Microsoft
and install it.
It is quite easy to install and set up.
Use an existing XP installation disk and install XP onto the virtual machine
created by VPC2007.
(it is literally XP in a window on Vista !)
Install Riven as normal in this version of XP, and away you go.
(Yes I have done this myself, and it does work - though you will need to
set the full screen behaviour of the virtual machine correctly else it will
sit very small in the middle of the screen (using your desktop resolution)
instead of expanding to fit the screen (though still at 640x480))

1. Installed Riven on Windows XP, applied Riven 1.02 update
2. Then copied the MHK files from the data directory on each of the CDs
to the data directory of the Riven installation
3. Next step, edited the "riven.cfg" file in C:\Program Files\Riven so
that in each section it reads like:
[ospit] Disc = 5
File_0 = "data/o_data.mhk"
File_1 = "data/o_sounds.mhk"

the "Disc" line reads Disc =0
4. In Riven1, I went to QTWsetup\Win32\express and copied Qt32inst.exe
to my installed Riven folder.
5. Opened MagicIso, and burned Riven folder to DVD (little over 2.7
gb), then copied contents of DVD to my C: drive on Vista 64.
6. Installed Quicktime 2.0
7. Right clicked Riven exe. and set to run in Windows XP SP2
compatability mode.

I have an old game which i'm desperately trying to make it work. Space
Hawk (an old space shooter).
I tried changing the compatibility and running it as an administrator
but they both didn't work. The remarkable thing is that i can play level
1 without problems, but when i start a custom fight or advance to level
2, vista reports an error and shuts down the game..

if your games works with MSDOS, you might can install microsoft virtual PC
(2007), you have to install MSDOS over it, and your problem is fixed ;)